ZROZ vs. BIAZX
Compare and contrast key facts about PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and Brown Advisory Mortgage Securities Fund (BIAZX).
ZROZ is a passively managed fund by PIMCO that tracks the performance of the BofA Merrill Lynch Long Treasury Principal STRIPS Index. It was launched on Oct 30, 2009. BIAZX is managed by Brown Advisory Funds. It was launched on Dec 25, 2013.
Performance
ZROZ vs. BIAZX - Performance Comparison
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ZROZ vs. BIAZX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -0.37% | -1.84% | -16.18% | 1.19% | -41.28% | -5.22% | 24.57% | 21.22% | -5.43% | 14.77% |
BIAZX Brown Advisory Mortgage Securities Fund | -0.01% | 7.99% | 1.28% | 4.34% | -10.64% | -0.30% | 5.49% | 6.93% | 0.72% | 2.35% |
Returns By Period
In the year-to-date period, ZROZ achieves a -0.37% return, which is significantly lower than BIAZX's -0.01% return. Over the past 10 years, ZROZ has underperformed BIAZX with an annualized return of -3.82%, while BIAZX has yielded a comparatively higher 1.56% annualized return.
ZROZ
- 1D
- -0.61%
- 1M
- -6.35%
- YTD
- -0.37%
- 6M
- -3.49%
- 1Y
- -6.32%
- 3Y*
- -8.90%
- 5Y*
- -11.00%
- 10Y*
- -3.82%
BIAZX
- 1D
- 0.55%
- 1M
- -2.14%
- YTD
- -0.01%
- 6M
- 1.50%
- 1Y
- 5.02%
- 3Y*
- 3.67%
- 5Y*
- 0.40%
- 10Y*
- 1.56%
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ZROZ vs. BIAZX - Expense Ratio Comparison
ZROZ has a 0.15% expense ratio, which is lower than BIAZX's 0.49% expense ratio.
Return for Risk
ZROZ vs. BIAZX — Risk / Return Rank
ZROZ
BIAZX
ZROZ vs. BIAZX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and Brown Advisory Mortgage Securities Fund (BIAZX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| ZROZ | BIAZX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.33 | 1.13 | -1.47 |
Sortino ratioReturn per unit of downside risk | -0.34 | 1.62 | -1.95 |
Omega ratioGain probability vs. loss probability | 0.96 | 1.21 | -0.25 |
Calmar ratioReturn relative to maximum drawdown | -0.30 | 2.11 | -2.41 |
Martin ratioReturn relative to average drawdown | -0.53 | 5.88 | -6.41 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ZROZ | BIAZX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.33 | 1.13 | -1.47 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.46 | 0.07 | -0.53 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.17 | 0.35 | -0.53 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.09 | 0.49 | -0.40 |
Correlation
The correlation between ZROZ and BIAZX is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
ZROZ vs. BIAZX - Dividend Comparison
ZROZ's dividend yield for the trailing twelve months is around 4.98%, more than BIAZX's 4.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 4.98% | 4.96% | 4.58% | 3.52% | 2.76% | 1.60% | 1.68% | 2.22% | 2.06% | 2.53% | 3.00% | 2.98% |
BIAZX Brown Advisory Mortgage Securities Fund | 4.14% | 4.43% | 4.43% | 3.65% | 2.33% | 0.75% | 0.98% | 2.12% | 2.77% | 2.03% | 2.82% | 3.59% |
Drawdowns
ZROZ vs. BIAZX - Drawdown Comparison
The maximum ZROZ drawdown since its inception was -62.93%, which is greater than BIAZX's maximum drawdown of -15.95%. Use the drawdown chart below to compare losses from any high point for ZROZ and BIAZX.
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Drawdown Indicators
| ZROZ | BIAZX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.93% | -15.95% | -46.98% |
Max Drawdown (1Y)Largest decline over 1 year | -15.63% | -2.79% | -12.84% |
Max Drawdown (5Y)Largest decline over 5 years | -57.98% | -15.95% | -42.03% |
Max Drawdown (10Y)Largest decline over 10 years | -62.93% | -15.95% | -46.98% |
Current DrawdownCurrent decline from peak | -59.65% | -2.14% | -57.51% |
Average DrawdownAverage peak-to-trough decline | -23.66% | -2.86% | -20.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.99% | 1.00% | +7.99% |
Volatility
ZROZ vs. BIAZX - Volatility Comparison
PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a higher volatility of 5.79% compared to Brown Advisory Mortgage Securities Fund (BIAZX) at 1.77%. This indicates that ZROZ's price experiences larger fluctuations and is considered to be riskier than BIAZX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZROZ | BIAZX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.79% | 1.77% | +4.02% |
Volatility (6M)Calculated over the trailing 6-month period | 10.85% | 2.67% | +8.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.16% | 4.59% | +14.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.93% | 5.76% | +18.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.09% | 4.41% | +17.68% |